TIME Options History — February 2016

In February 2016, TIME traded between $12.45 and $14.71. ATM implied volatility averaged 44.4%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 6.7% (HV 20d: 51.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2016-02-16: Highest Volume — 936 contracts
  • 2016-02-26: Largest IV drop — 17.7% change
  • 2016-02-09: Highest IV Rank — 67.6%
  • 2016-02-10: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.92$12.45$14.71$14.65$14.12
Max Pain$13.63$12.50$15.00$15.00$12.50
ATM IV44.4%37.1%57.4%44.4%38.0%
Expected Move12.2%10.6%14.5%12.7%10.9%
HV 20d51.1%46.0%56.2%50.3%52.4%
HV 60d42.7%38.1%46.3%40.3%45.6%
IV Rank42.6%28.6%67.6%42.6%30.3%
IV Percentile89.6%73.0%99.2%96.4%74.6%
Term Structure-2.2%-6.4%12.5%-5.0%-3.9%
VWIV45.6%38.1%57.8%55.7%38.9%
Skew 25d10.0%2.6%19.2%17.0%13.8%
Skew 10d15.3%3.8%27.4%26.6%18.6%
Call IV 25d41.3%33.1%51.1%42.8%39.1%
Put IV 25d51.3%44.9%63.9%59.8%52.9%
Bid-Ask Spread %99.8191.97110.90110.90109.00
Gamma HHI0.630.490.880.490.62
Net GEX219.5K57.0K434.0K415.6K141.8K
Net DEX-1.9M-4.7M20.7K-4.6M-1.1M
Net VEX-16.1K-26.7K-7.4K-26.4K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.213.723.720.52
Total Volume345.35235936302281
Total OI14,735.812,28316,41615,55812,391

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$14.65$15.0044.4%12.7%50.3%42.6%55.7%17.0%-5.0%415.6K-4.6M-26.4K3.72110.90N/AN/A6423814,906652
2016-02-02$14.44$15.0047.2%13.5%47.0%48.0%54.7%14.7%-6.0%381.2K-4.1M-25.1K3.58102.00N/AN/A6523314,904662
2016-02-03$14.40$15.0043.7%12.5%46.9%41.3%57.8%19.2%-2.8%374.1K-3.6M-23.5K3.5896.70N/AN/A6523314,907667
2016-02-04$14.71$15.0045.5%11.5%47.5%44.7%46.7%14.1%-0.5%434.0K-4.7M-26.7K3.5891.97N/AN/A6523314,907667
2016-02-05$14.42$15.0049.2%12.3%47.9%51.8%47.8%13.0%-3.3%389.6K-4.2M-25.2K3.5898.16N/AN/A6523314,907667
2016-02-08$14.41$15.0051.9%12.2%47.6%57.1%48.4%14.4%-1.4%371.5K-3.5M-21.2K3.5896.83N/AN/A6523314,907667
2016-02-09$13.81$15.0057.4%12.8%49.6%67.6%49.2%7.2%-2.3%298.9K-2.0M-17.9K2.5692.47N/AN/A9123314,907667
2016-02-10$13.59$15.0050.5%14.5%49.7%54.4%48.7%3.1%-6.4%197.2K-955.7K-14.0K2.6696.41N/AN/A9124214,937667
2016-02-11$12.45$15.0046.9%13.4%56.2%47.4%46.7%2.6%-3.7%57.0K20.7K-7.4K3.3293.37N/AN/A7324214,937682
2016-02-12$12.49$12.5043.5%12.5%46.0%40.9%42.0%16.6%-2.7%57.0K-24.1K-8.2K2.2298.69N/AN/A7316214,951687
2016-02-16$13.37$12.5046.4%13.3%51.3%46.5%43.8%8.4%-3.4%90.2K-338.8K-10.2K0.2199.20N/AN/A77416214,951660
2016-02-17$14.02$12.5041.3%11.9%54.0%36.7%42.1%5.3%-2.2%146.4K-873.7K-12.9K0.59104.82N/AN/A27516215,625660
2016-02-18$14.14$12.5039.2%11.2%54.0%32.6%40.8%9.2%-0.0%165.4K-1.2M-14.7K0.60107.72N/AN/A27216315,751660
2016-02-19$14.01$12.5041.3%11.9%53.9%36.7%43.2%7.1%-0.7%183.7K-1.6M-17.3K1.0694.99N/AN/A14815715,755661
2016-02-22$14.32$12.5037.1%10.6%54.3%28.6%38.1%10.3%-0.9%175.0K-1.6M-15.0K0.49103.27N/AN/A1959611,852431
2016-02-23$13.92$12.5040.5%11.6%55.2%35.1%40.8%3.9%-3.3%167.0K-1.4M-14.2K0.45103.23N/AN/A2149611,907431
2016-02-24$13.84$12.5039.6%11.4%52.9%33.4%41.0%8.8%-3.5%127.1K-900.9K-11.1K0.5398.67N/AN/A21411311,927431
2016-02-25$13.70$12.5046.2%13.2%52.6%46.1%42.7%5.5%-3.7%108.6K-698.4K-10.0K0.5997.24N/AN/A19211311,926453
2016-02-26$13.68$12.5038.0%10.9%52.6%30.3%42.3%5.5%12.5%109.0K-808.6K-9.9K0.52100.62N/AN/A1859611,936453
2016-02-29$14.12$12.5038.0%10.9%52.4%30.3%38.9%13.8%-3.9%141.8K-1.1M-11.5K0.52109.00N/AN/A1859611,943448